Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0872
Annualized Std Dev 0.2187
Annualized Sharpe (Rf=0%) 0.3987

Row

Daily Return Statistics

Close
Observations 3335.0000
NAs 1.0000
Minimum -0.1150
Quartile 1 -0.0057
Median 0.0010
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0068
Maximum 0.1326
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0138
Skewness -0.3330
Kurtosis 10.6006

Downside Risk

Close
Semi Deviation 0.0101
Gain Deviation 0.0095
Loss Deviation 0.0112
Downside Deviation (MAR=210%) 0.0146
Downside Deviation (Rf=0%) 0.0099
Downside Deviation (0%) 0.0099
Maximum Drawdown 0.5843
Historical VaR (95%) -0.0205
Historical ES (95%) -0.0337
Modified VaR (95%) -0.0206
Modified ES (95%) -0.0363
From Trough To Depth Length To Trough Recovery
2007-07-16 2008-11-21 2013-03-08 -0.5843 1363 344 1019
2020-02-20 2020-03-23 2020-08-03 -0.3720 115 23 92
2015-05-20 2016-02-11 2016-11-22 -0.2336 345 165 180
2018-09-24 2018-12-24 2019-07-24 -0.2243 197 52 145
2018-01-29 2018-02-09 2018-07-09 -0.1007 76 10 66

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA NA NA NA -0.3 -0.3
2007 0.8 -0.5 0 0 0.5 -0.3 0.2 1.4 1.7 -1.7 0.2 -0.9 1.5
2008 1.8 -2.9 3.1 1.2 0.5 -0.6 -0.6 -0.4 -2.1 2.8 -8.3 2.3 -3.7
2009 -2.6 0.2 0 0.2 4.5 1.1 0 -1.3 -2 -2.2 1.8 -0.8 -1.2
2010 1.8 1.4 0.9 -2.2 -2.5 -1.3 0.2 3 0.1 0.2 2.4 -0.2 3.7
2011 1.6 -0.9 1 -0.4 -1.7 1.4 -1.1 -1.1 -1.9 -3.7 0.6 0.5 -5.8
2012 -0.7 0.9 1.1 1.4 -2.1 3.1 -0.3 0.4 -0.3 1.8 0.3 1.3 7.1
2013 0.6 -0.5 -1.1 0.3 -0.7 0.6 2 -0.8 0.7 -0.2 0.3 0.7 1.7
2014 -0.2 0 0.7 0 0.2 1.1 0.5 0.1 -1.5 1.3 -1.2 -0.9 0.1
2015 -0.8 -0.5 -1 -0.5 0.1 -0.1 0.6 -2.1 -0.2 0.1 0.2 0 -4.1
2016 1.3 1.5 0 -0.8 0.5 0.5 0 -0.4 -0.3 -0.5 0.5 -0.3 2
2017 -0.5 1.4 0.7 0 -0.3 0.6 -1 0.6 0.7 0 -0.2 -0.3 1.7
2018 0 -0.1 1.1 -1.2 0.8 0.1 -0.1 0.6 0 1.2 0 1.9 4.2
2019 0.4 0.8 1.1 -1.1 -1 0.3 -1.9 0.2 -1.8 1.6 -1.3 -0.5 -3.1
2020 -2.4 -3 -4.6 -2.9 0.5 -1.2 -0.4 0.5 0.5 -1 1.7 0.1 -11.8
2021 2 2.7 -0.2 NA NA NA NA NA NA NA NA NA 4.5

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart